Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0074 |
| Annualized Std Dev | 0.2261 |
| Annualized Sharpe (Rf=0%) | -0.0329 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1958 |
| Quartile 1 | -0.0050 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0051 |
| Maximum | 0.2360 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | -0.0031 |
| Kurtosis | 48.4016 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0124 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0102 |
| Downside Deviation (0%) | 0.0102 |
| Maximum Drawdown | 0.7317 |
| Historical VaR (95%) | -0.0162 |
| Historical ES (95%) | -0.0327 |
| Modified VaR (95%) | -0.0095 |
| Modified ES (95%) | -0.0095 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2002-08-26 | 2009-03-09 | NA | -0.7317 | 4674 | 1644 | NA |
| 1999-07-12 | 2000-05-11 | 2001-07-25 | -0.1757 | 516 | 213 | 303 |
| 2001-08-23 | 2001-09-24 | 2002-01-31 | -0.0931 | 107 | 18 | 89 |
| 2002-06-17 | 2002-06-21 | 2002-08-23 | -0.0725 | 49 | 5 | 44 |
| 2002-02-11 | 2002-02-27 | 2002-06-10 | -0.0640 | 83 | 12 | 71 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | -0.5 | 1 | 0 | 0.5 | -0.9 | 0.5 | -0.5 | -1 | -1 | -1.1 | 1.6 | -1.4 |
| 2000 | 0 | -1.1 | 1.5 | -0.5 | 0.5 | -1 | 1 | 0.5 | -0.5 | -0.3 | -0.5 | 1 | 0.7 |
| 2001 | 1 | -0.2 | 0.4 | 0 | 0.1 | 0 | 0.3 | -1.2 | -0.4 | -1.4 | -0.7 | 1.1 | -1 |
| 2002 | -0.6 | 2.8 | 0 | 0.9 | -0.3 | 0.8 | -0.3 | -0.7 | 0 | 1.7 | 0 | 1.5 | 5.8 |
| 2003 | -0.3 | -1 | -0.4 | 0.4 | 1.2 | 1.7 | -0.7 | 1.5 | -1.9 | 1.1 | 0.3 | 0.6 | 2.4 |
| 2004 | 0.2 | -0.7 | 1.6 | -0.8 | 1.3 | -1.2 | 0.2 | -0.8 | -0.5 | 0 | -0.1 | 0.2 | -0.8 |
| 2005 | 0 | -0.3 | -0.4 | 1.8 | -1.1 | -0.4 | -0.3 | -1.2 | 0 | -0.1 | 0.1 | 0 | -1.9 |
| 2006 | -0.6 | 0.6 | -0.9 | -0.3 | 1.2 | 1.2 | -0.4 | -0.3 | 0 | -0.7 | 0.2 | 0 | 0.1 |
| 2007 | 0 | -0.7 | 0.8 | -0.2 | 0.3 | 0.6 | -1.2 | 0.4 | -1 | 0.4 | 1 | 0 | 0.4 |
| 2008 | 2 | -2.2 | 0.2 | 1.9 | -0.4 | -1.5 | 0.3 | 0.3 | 0.9 | 0.7 | -5.3 | 3 | -0.2 |
| 2009 | -0.8 | -0.6 | -3.6 | 5.4 | -2.8 | 2.4 | 0.8 | -3.1 | 0.9 | -0.6 | 1.8 | -0.1 | -0.7 |
| 2010 | 1 | 2.7 | -0.9 | -0.1 | 0.5 | -0.4 | -1 | 1.1 | 1 | 1.1 | -0.7 | 2.4 | 6.8 |
| 2011 | -0.3 | 0.6 | -0.1 | 0.5 | -0.2 | 0 | 2 | 0.5 | 0.3 | 0.7 | -1.3 | 0.4 | 3 |
| 2012 | -0.1 | 0.3 | 1.1 | 0.6 | -0.1 | 0.2 | 0.1 | -0.7 | -0.2 | 1.1 | -0.7 | 0.3 | 2 |
| 2013 | -0.1 | -0.5 | -0.2 | 0.1 | -2 | 0.8 | -0.6 | -0.6 | 1 | -1.4 | 0.1 | 1.7 | -1.7 |
| 2014 | 0.3 | 0 | 0.4 | -0.4 | 0.2 | 0.1 | 0.1 | 1.2 | -0.2 | 0.3 | -0.4 | 0.1 | 1.7 |
| 2015 | 0.1 | 0.2 | 0.3 | 0.5 | 0.5 | 0.1 | 1 | -0.3 | 0 | 0.4 | 0.6 | 1.2 | 4.7 |
| 2016 | -0.6 | 4 | 2.9 | -0.6 | 0.5 | -0.7 | 0.3 | -0.2 | 1.2 | -0.6 | -0.7 | 1.2 | 6.7 |
| 2017 | 0.6 | -0.3 | 1.2 | 0.5 | -0.4 | 0.3 | -1 | 0.7 | 0.6 | -0.5 | 0 | 0.3 | 1.9 |
| 2018 | -0.2 | -0.2 | 0.1 | 0.9 | -0.9 | -0.7 | 1.9 | 0.2 | 0.2 | 1.6 | 1.7 | -0.4 | 4.3 |
| 2019 | 1.6 | -1 | 0.1 | 0.2 | 0.6 | 0.5 | 1.4 | 0.6 | 0.3 | 0 | -0.1 | -0.3 | 4.2 |
| 2020 | -0.2 | -4.6 | -6.7 | -0.9 | 1.2 | 2.2 | -0.4 | 2.7 | 1.4 | -0.8 | 0.6 | -0.2 | -6 |
| 2021 | 0.6 | 2.5 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
